For an investor whose utility function is written as U = E(R) 2 2, the investment A has the following properties: E(RA) = 12% and sigmaA = 20%. Suppose that another investment, noted B, is located on the same indifference curve as the investment A of this investor. If E(RB) = 22%, then sigmaB should be equal to: Select one: a. 20% b. 25% c. 35% d. 30% e. 40%